Risk-constrained dynamic portfolio management

zbMATH Open1182.91156MaRDI QIDQ3408233FDOQ3408233

Authors: Daniel Akume, Gerhard-Wilhelm Weber 

Publication date: 25 February 2010

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zbMATH Keywords

portfolio optimizationrisk managementvalue-at-risktail conditional expectationpower utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Dynamical systems in optimization and economics (37N40)

Cited In (11)

• The price of portfolio selection under tail conditional expectation with consumption cost and transaction cost
• Optimal dynamic portfolios under a tail conditional expectation constraint
• Utilizing risk minimization for portfolio management
• Risk management under weighted limited expected loss
• Dynamic Financial Risk Management
• Dynamic investment strategies with demand-side and cost-side risks
• Title not available (Why is that?)
• Dynamic portfolio model under a capital at risk constraint
• Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
• Parameter estimation in stochastic differential equations
• Optimal pension fund management under risk and uncertainty: the case study of Poland

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